Question
The 6-month $730 strike call premium is $60 and the 6-month $830 strike call on the same underlying asset is selling for $30. A strategy
The 6-month $730 strike call premium is $60 and the 6-month $830 strike call on the same underlying asset is selling for $30. A strategy consists of longing the 730-strike call and shorting the 830-strike call. Interest rate is 6%. What is the price of the underlying asset that will make this strategy breakeven at maturity?
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Finance With Monte Carlo
Authors: Ronald W. Shonkwiler
2013th Edition
146148510X, 978-1461485100
